Stock Screening with Price Range, Turnover, and Large-Order Flow

Summary

This Chinese stock-screening example selects shares whose high-to-low price range exceeds one, whose prior-day turnover is above 60 million, and whose price change multiplied by a measure of net large-order flow is positive. The document presents the combination as a way to mix price activity, trading activity, and order-flow information. It includes sample Python logic, but does not provide an indicator-formula implementation or explain in detail how the large-order measure is calculated.

No backtest, performance data, or market context is offered to support the screen. The text warns that fundamentals and other market factors are excluded, and that large-order-flow data may be inaccurate or misleading. It suggests supplementing the filters with company, market, capitalization, and industry considerations. The code’s variable calculations should not be assumed to exactly match the prose: data-field definitions and units are not established, and the stated prior-day turnover condition may require checking against the supplied data source.

Key ideas

• The screen combines a high-to-low price range threshold, prior-day turnover above 60 million, and a positive product of price change and net large-order flow.
• The document supplies sample Python logic but no evidence of predictive performance.
• The large-order-flow metric may be inaccurate or misleading, according to the author.
• Fundamentals, industry, capitalization, and broader market conditions are not included in the core screen.
• Data definitions and units should be checked because the example code does not fully explain how its fields represent the stated conditions.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.